Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0043 |
| Annualized Std Dev | 0.2594 |
| Annualized Sharpe (Rf=0%) | 0.0168 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4109.0000 |
| NAs | 1.0000 |
| Minimum | -0.1760 |
| Quartile 1 | -0.0064 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0068 |
| Maximum | 0.1429 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0003 |
| Stdev | 0.0163 |
| Skewness | -0.3753 |
| Kurtosis | 14.5616 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0118 |
| Gain Deviation | 0.0123 |
| Loss Deviation | 0.0132 |
| Downside Deviation (MAR=210%) | 0.0163 |
| Downside Deviation (Rf=0%) | 0.0117 |
| Downside Deviation (0%) | 0.0117 |
| Maximum Drawdown | 0.4582 |
| Historical VaR (95%) | -0.0229 |
| Historical ES (95%) | -0.0388 |
| Modified VaR (95%) | -0.0236 |
| Modified ES (95%) | -0.0324 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2012-11-12 | 2020-03-18 | NA | -0.4582 | 1867 | 1639 | NA |
| 2008-09-29 | 2008-12-12 | 2012-01-04 | -0.3928 | 729 | 44 | 685 |
| 2004-01-21 | 2004-05-20 | 2005-06-23 | -0.2012 | 323 | 83 | 240 |
| 2006-12-28 | 2007-06-12 | 2008-09-26 | -0.2004 | 352 | 96 | 256 |
| 2012-01-06 | 2012-04-03 | 2012-05-02 | -0.1169 | 77 | 58 | 19 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2002 | NA | NA | NA | -0.1 | 0 | 0 | -0.9 | -0.3 | 1.8 | -0.1 | 0.8 | 2.1 | 3.2 |
| 2003 | 0.1 | 0.3 | 1 | -0.2 | -0.6 | 0.3 | 0.7 | -0.1 | 0.1 | 0 | -0.3 | -0.6 | 0.6 |
| 2004 | 0.1 | 0.2 | 0.2 | -0.3 | -0.3 | -0.3 | 0 | 0.9 | 0.3 | 0.3 | 0.3 | 0.5 | 2 |
| 2005 | -0.3 | -0.1 | 2.2 | -0.8 | -1.2 | 0 | -0.1 | 1.2 | 0.7 | 1.4 | 3 | 1.7 | 7.8 |
| 2006 | 0.6 | -0.5 | 4 | 1.9 | 1.9 | 2.9 | 0.2 | 0.7 | 0.8 | 1.8 | 0 | -0.5 | 14.6 |
| 2007 | -2 | 0.1 | -0.4 | -0.4 | -2.6 | -0.7 | 0.6 | 0.1 | 2.2 | -0.8 | -0.7 | 0.6 | -3.9 |
| 2008 | -0.5 | -1.7 | 0.3 | 1.7 | 2.1 | -0.9 | -2.2 | -0.7 | 0.9 | 0.7 | 3.3 | 9.4 | 12.5 |
| 2009 | 0.3 | 6.4 | 6.2 | -0.1 | 1.8 | 1.3 | 0.1 | 0.2 | 0.4 | -1.6 | 1.4 | 1.7 | 19.3 |
| 2010 | -1.9 | -0.7 | -0.3 | -1.2 | 3 | -0.1 | 1.3 | 2.1 | 0.5 | -0.8 | 1.1 | 0.4 | 3.4 |
| 2011 | -1.6 | 1.5 | -0.2 | -1.9 | 1.2 | -0.4 | 0.5 | 0.3 | 0 | -1.2 | 0.3 | 0.1 | -1.4 |
| 2012 | 0 | -0.2 | -0.7 | -0.1 | 0 | -0.2 | 0 | 0.2 | 0.1 | 0.2 | 0.1 | 0.4 | -0.3 |
| 2013 | -0.7 | 1.2 | 0 | 0.3 | 1 | -0.3 | -0.6 | -0.5 | 0.3 | -0.1 | -0.5 | -0.8 | -0.7 |
| 2014 | -0.2 | 0.5 | 0.8 | 1 | 0.7 | -0.3 | 0.1 | -0.2 | 0.8 | 0.2 | 1.2 | 2.1 | 6.9 |
| 2015 | 0.8 | 0.2 | -2.1 | -1.2 | -1.3 | 0.6 | -1.7 | -2.1 | -0.2 | 0 | -0.2 | -1.3 | -8.1 |
| 2016 | -1.5 | -1.5 | 0 | 2.3 | 1.1 | 0.1 | 0.9 | -0.7 | -0.1 | 1.3 | 0.4 | -1.9 | 0.3 |
| 2017 | -0.4 | -0.6 | 0.1 | 0.2 | -1.2 | 7.1 | -1.4 | -1.3 | -0.1 | -0.7 | -0.7 | 3.1 | 3.7 |
| 2018 | -0.1 | 3.7 | -1.7 | 0.4 | -0.2 | -0.2 | 1.7 | 0.3 | 0 | -0.4 | -0.6 | -0.6 | 2.3 |
| 2019 | -0.9 | -0.5 | 0.6 | -0.1 | -0.2 | -1.2 | -0.6 | 0 | -0.5 | -0.5 | -0.2 | 1.1 | -3.1 |
| 2020 | -0.7 | -2.4 | -2.1 | -0.1 | -0.8 | -0.2 | 0.1 | -0.1 | 3.2 | -1.1 | -0.2 | 0.6 | -3.7 |
| 2021 | 0.7 | -0.4 | 2.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.9 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
